Dear R-Users,
a new package, "pinbasic", is now available on CRAN. According to the
DESCRIPTION:
Utilities for fast and stable estimation of the probability of informed
trading (PIN) in the model introduced by Easley et al. (2002)
<DOI:10.1111/1540-6261.00493> are implemented. Since the basic model
developed by Easley et al. (1996)
<DOI:10.1111/j.1540-6261.1996.tb04074.x> is nested in the former due to
equating the intensity of uninformed buys and sells, functionalities
can also be applied to this simpler model structure, if needed.
A vignette will be added to the package in near future. However, the
existing manual pages should be a good starting point.
Development version of the package is available at:
https://github.com/anre005/pinbasic
--
Diplom-Kaufmann Andreas Recktenwald
Statistik & Ökonometrie
Rechts- und Wirtschaftswissenschaftliche Fakultät
Universität des Saarlandes
Campus C3 1, Raum 2.06
66123 Saarbrücken
Deutschland